Asia Macro Strategy Notes: CCS monitor: Using the onshore curve for THB balance sheet hedges

Research evidence excerpt

Asia Macro Strategy Notes: CCS monitor: Using the onshore curve for THB balance sheet hedges

Deutsche Bank

Research

Asia Fixed Income Date

3 July 2026

Asia Macro Strategy

Notes

CCS monitor: Using the onshore curve

for THB balance sheet hedges

Bryant Xu

We recommend that corporate clients with THB balance sheet exposure use the

Strategist

onshore THB CCS curve for balance sheet hedging. It is materially lower than +65-6423 5558

offshore: the 5Y THB fixed-to-floating CCS rate is around 1.3% onshore versus

2.17% offshore, a near-90bp gap. For eligible corporates, this creates a clear cost Jalaj Singh

Research Associate

advantage for THB balance sheet hedging via the onshore curve.

Two flow dynamics explain the onshore/offshore divergence.

n First, Thai real-money and insurance-type investors have been active in

reverse asset-swap (ASW) structures, buying DM bonds and hedging the

proceeds back into THB via the onshore CCS curve, as regulations require

these hedges to be executed onshore. The jump in foreign debt purchases

by Thai non-depository corporations over the past few quarters likely partly

reflects these reverse ASW flows, which have helped keep the onshore THB

CCS curve compressed versus offshore.

n Second, offshore positioning has kept offshore FX-implied yields

elevated. Since the escalation of Middle East tensions, speculative

investors have built sizeable long-USD positions in the offshore THB spot

market and rolled them through front-end FX swaps, mainly from TN to 1W

and, at times, out to 1M. This has kept offshore FX-implied yields elevated

versus onshore, with pressure spilling further along the curve and helping

keep offshore CCS levels high relative to onshore.

For corporate clients, this curve segmentation creates a practical hedging